This book provides a rigorous but elementary introduction to the theory of Markov Processes on a countable state space. Topics covered include: Doeblin's theory, general ergodic properties, and continuous time processes.

This book gives a somewhat unconventional introduction to stochastic analysis.

This text provides a concise introduction, suitable for a one-semester special topicscourse, to the remarkable properties of Gaussian measures on both finite and infinitedimensional spaces. It begins with a brief resumé of probabilistic results in which Fourieranalysis plays an essential role, and those results are then applied to derive a few basicfacts about Gaussian measures on finite dimensional spaces. In anticipation of the analysisof Gaussian measures on infinite dimensional spaces, particular attention is given to thoseproperties of Gaussian measures that are dimension independent,...